NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Patterns in Exchange Rate Forecasts for 25 Currencies

Menzie Chinn, Jeffrey Frankel

NBER Working Paper No. 3807 (Also Reprint No. r1926)
Issued in August 1991
NBER Program(s):   ITI   IFM

We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures. Investors would be better off placing less weight on their forecasts or the forward rate, and more on the current spot rate.

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Document Object Identifier (DOI): 10.3386/w3807

Published: Journal of Money, Credit, and Banking. vol. 26, no. 4, Nov. 1994.pp. 754-770

 
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